Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection

被引：42
|
作者：
Li, Xiang [1 ]
Guo, Sini [1 ]
Yu, Lean [1 ]
机构：
[1] Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China
来源：
IEEE TRANSACTIONS ON FUZZY SYSTEMS | 2015年 / 23卷 / 06期
基金：
中国国家自然科学基金;
关键词：
Fuzzy number; mean-variance-skewness model; skewness; VARIANCE; MODEL; RISK;
D O I：
10.1109/TFUZZ.2015.2404340
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A fuzzy number is a normal and convex fuzzy subset of the real line. In this paper, based on membership function, we redefine the concepts of mean and variance for fuzzy numbers. Furthermore, we propose the concept of skewness and prove some desirable properties. A fuzzy mean-variance-skewness portfolio selection model is formulated and two variations are given, which are transformed to nonlinear optimization models with polynomial objective and constraint functions such that they can be solved analytically. Finally, we present some numerical examples to demonstrate the effectiveness of the proposed models.
引用
收藏
页码：2135 / 2143
页数：9
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